) pricing based on the Gaussian copula. The numerical analysis demonstrates that the issuer default risk increases the fair …

identify the type of copula that best fits the given application data and perform a goodness of fit test to assess the adequacy … of the copula model selected. The results suggest that the grouped t copula is better performed than the standard t … copula to describe the dependence structure in an insurance setting where different type of risk factors coexists. The result …

We review the main “omnibus procedures” for goodness-of-fit testing for copulas: tests based on the empirical copula …

we provide an insight into the use of the copula functions, particularly addressing the key question of why the Gaussian … copula approach failed to detect the high loan default correlation during 2007-08. We discuss other types of copulas which …-specified. We also demonstrate that an Archimedean copula, particularly Gumbel is a more efficient method for capturing tail …

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows capturing (multivariate) dynamics in higher order …

financial modeling or inter-failure times in reliability theory. We explore the relationship between dependence and the … memory that is linked to a property of the survival times copula. This property defines a "self-chaining-copula", and we show …-Hougaard copula, a full characterization of self chaining copulas in the Archimedean family, and by the Marshall-Olkin copula. The …

the copula theory in how at each step to arrive at a higher dimensional distribution utilizing the results from previous …

dependence structure of the two random vectors X and Y, namely, the two random vectors will have a common copula and will be …

a representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on …